Lets assume you've got your Linux distro on your flash drive. What do you do with it now? Just plug it in and it just works?

Nope, it does need to be plugged into a USB port but you need to change the order that your computer looks where to boot from. You might have to watch your computer start a few times and look for the key to press on the black screen, its usually one of the keys like "press F2 to enter BIOS setup" but it can be different depending on which computer you're using.

There isnt a standard setup screen thats on every computer so you'll have to look for text relating to boot order, boot sequence etc.

How to change the boot sequence in the BIOS

https://help.ubuntu.com/community/BootFromCD


Might want to skip to about the 13 min mark to get to the part about BIOS

If its booted properly you should then have a prompt screen with a few options such as "try Ubuntu without any change to your computer" and others like "install to hard drive" select the run without changing anything and sit back.......